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    Period Cash Flow PV Cash Flow Duration Calc Convexity Calc

    Uploaded by

    sharadkulloli
    This document provides information on bond pricing including the face value, coupon rate, yield, duration, modified duration, and convexity of a $1,000 6-year bond with an 8% coupon rate and a yield of 8% or 9%. It shows the bond prices at those two yields, as well as the durations and predicted price changes based on duration and convexity if the yield changes by 1%. It verifies that the predicted price changes based on duration and convexity match the actual price changes when the yield increases to 9%.

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    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd

    Period Cash Flow PV Cash Flow Duration Calc Convexity Calc

    Uploaded by

    sharadkulloli
    30 views4 pages
    This document provides information on bond pricing including the face value, coupon rate, yield, duration, modified duration, and convexity of a $1,000 6-year bond with an 8% coupon rate and a yield of 8% or 9%. It shows the bond prices at those two yields, as well as the durations and predicted price changes based on duration and convexity if the yield changes by 1%. It verifies that the predicted price changes based on duration and convexity match the actual price changes when the yield increases to 9%.

    Original Description:

    c

    Original Title

    Duration Convexity

    Copyright

    © © All Rights Reserved

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    This document provides information on bond pricing including the face value, coupon rate, yield, duration, modified duration, and convexity of a $1,000 6-year bond with an 8% coupon rate and a yield of 8% or 9%. It shows the bond prices at those two yields, as well as the durations and predicted price changes based on duration and convexity if the yield changes by 1%. It verifies that the predicted price changes based on duration and convexity match the actual price changes when the yield increases to 9%.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    30 views4 pages

    Period Cash Flow PV Cash Flow Duration Calc Convexity Calc

    Uploaded by

    sharadkulloli
    This document provides information on bond pricing including the face value, coupon rate, yield, duration, modified duration, and convexity of a $1,000 6-year bond with an 8% coupon rate and a yield of 8% or 9%. It shows the bond prices at those two yields, as well as the durations and predicted price changes based on duration and convexity if the yield changes by 1%. It verifies that the predicted price changes based on duration and convexity match the actual price changes when the yield increases to 9%.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    of 4

    Bond Price

    Face Value
    Coupon Rate
    Life in Years
    Yield
    Frequency
    Macaulay Duration
    Modified Duration
    Convexity
    Period
    0
    1
    2
    3
    4
    5
    6
    7
    8
    9
    10
    11
    12

    $1,000.00
    1,000
    8.00%
    6
    8.00%
    2

    $954.41
    1000
    8%
    6
    9%
    2

    4.88
    4.69
    27.23
    Cash Flow
    ($1,000.00)
    40.00
    40.00
    40.00
    40.00
    40.00
    40.00
    40.00
    40.00
    40.00
    40.00
    40.00
    1,040.00

    If Yield Changes By
    Bond Price Will Change By

    1.00%
    -45.59

    Modified Duration Predicts


    Convexity Adjustment
    Total Predicted Change

    -46.93
    1.36
    -45.56

    Actual New Price


    Predicted New Price
    Difference
    PV Cash Flow
    38.46
    36.98
    35.56
    34.19
    32.88
    31.61
    30.40
    29.23
    28.10
    27.02
    25.98
    649.58

    Duration Calc
    38.46
    73.96
    106.68
    136.77
    164.39
    189.68
    212.78
    233.82
    252.93
    270.23
    285.82
    7,794.97

    $954.41
    $954.44
    $0.03
    Convexity Calc
    71.12
    205.15
    394.53
    632.25
    911.90
    1,227.56
    1,573.79
    1,945.62
    2,338.49
    2,748.23
    3,171.03
    93,689.56

    Total

    9,760.48

    108,909.24

    -4.56%
    -4.69%
    0.14%
    -4.56%

    D Mac=

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    CF t

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    VB

    t =1

    CF t

    ( 1+ i )
    VB

    2
    (
    t
    +t )
    t

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